V-Lab: Mauritian Rupee Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mauritian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:4.20% (-0.06%)

Analysis last updated: Wednesday, May 15, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2898	3.84
$α$	0.0835	10.16
$β$	0.9122	114.36
$γ_{1}$	-0.0187	-0.45
$γ_{2}$	0.1215	1.93
$γ_{3}$	-0.1936	-4.40
$γ_{4}$	0.1178	3.97
$γ_{5}$	-0.0202	-0.86
$γ_{6}$	-0.0132	-0.76

Estimation Period:
Jun 28, 1993 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts